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Duration (finance)

In finance, duration is a measure of how the price of a fixed-income instrument responds to a change in interest rates. It is used to compare rate risk across bonds and to construct hedges, and is often paired with convexity and the price value of a basis point. Duration-based estimates work best for small, parallel shifts in the yield curve.

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Macaulay duration

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Duration (finance)

Nodes37
Edges36
Triples6
Avg. degree1.95
Density0.054054
Components1

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Important terminology

displaystyle duration text yield frac price dv01 mod convexity mac curve rate cash small parallel change flows times sum approx

Entity relationships Subject–Predicate–Object triples

SubjectPredicateObjectConfidenceSrc
Fisherinstance ofThat picture matches shifts in the term structure and motivates measures0.80text
modified duration or an option-adjusted durationinstance ofa duration measure0.80text
government bondsinstance ofIn practice it is paired with convexity and key-rate measures when moves are large or non-parallel.Hedging and portfolio constructionManagers set a target DV01 for a portfolio a…0.80text
futures or interest rate swapsinstance ofIn practice it is paired with convexity and key-rate measures when moves are large or non-parallel.Hedging and portfolio constructionManagers set a target DV01 for a portfolio a…0.80text
government bondsinstance ofHedging and portfolio constructionManagers set a target DV01 for a portfolio and adjust it with liquid instruments0.80text
futures or interest rate swapsinstance ofHedging and portfolio constructionManagers set a target DV01 for a portfolio and adjust it with liquid instruments0.80text

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